Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because … of modified yield duration. …

We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk …) segmentation (convenience) premium. Iden- tification is achieved by considering sovereign bond yields jointly with other rates … bond purchases, the E.U.'s fiscal policy announcements lowered yields more uniformly. …

Using data on government bond yields in Germany and the United States, we show that overseas unspanned factors … for subsequent domestic bond returns. This result is remarkably robust, holding for different sample periods, as well as … out of sample. Shocks to overseas unspanned factors have large and persistent effects on domestic yield curves. Dynamic …